The Mathematics of Arbitrage

Math Union Lecture

Professor Matheus Grasselli (McMaster University)

Wednesday, March 24, at 3:30pm in BA 1160

In this talk I will review the framework
underlying most of modern mathematical
finance, including the mathematical definitions
of assets prices, trading strategies, arbitrage
opportunities and fair prices. The goal is to state
the so called Fundamental Theorem of Asset
Pricing in different contexts, ranging from
simple markets with discrete time and finite
sample spaces to very general ones where
trading takes place in continuous time and prices
can jump by unbounded amounts. Whereas its
proof in the simple case requires nothing more
than undergraduate Linear Algebra (and some
ingenuity), the most demanding result requires
PhD level techniques and beyond.

Open to everyone, especially undergraduates!

Refreshments will be served beforehand at 3:00 on
the 6th floor math lounge.

Brought to you by the Math Union, your undergraduate student representatives.

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